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~isPartOf:"IMF working papers"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~person:"Nagayasu, Jun"
~person:"Teichmann, Josef"
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Search: subject_exact:"Expectations hypothesis of the term structure"
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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The affine LIBOR models
Keller‐Ressel, Martin
;
Papapantoleon, Antonis
; …
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 627-658
Persistent link: https://www.econbiz.de/10010187682
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2
The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period
Nagayasu, Jun
-
2003
This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When...
Persistent link: https://www.econbiz.de/10014403996
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3
The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials : A Panel Study
Nagayasu, Jun
-
1999
This paper empirically examines the long-run relationship between real exchange rates and real interest rate differentials over the recent floating exchange rate period, using a panel cointegration method, with data for a set of industrialized countries. The paper finds evidence of statistically...
Persistent link: https://www.econbiz.de/10014401123
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4
A note on nonaffine solutions of the term structure equations with applications to power exchanges
Teichmann, Josef
- In:
Mathematical finance : an international journal of …
15
(
2005
)
1
,
pp. 191-201
Persistent link: https://www.econbiz.de/10002583086
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5
A general proof of the Dybvig-Ingersoll-Ross Theorem : long forward rates can never fall
Hubalek, Friedrich
;
Klein, Irene
;
Teichmann, Josef
- In:
Mathematical finance : an international journal of …
12
(
2002
)
4
,
pp. 447-451
Persistent link: https://www.econbiz.de/10001741960
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